I know this is a 13 year old thread, but I'd like to point out the alternative to the conventional wisdom of "insure everything always".
I think we all know that insurance companies are not charitable institutions. How they exist is to make a profit; which they do by taking in more income in premiums than they expend in payment of claims. Unless you have explicit prior knowledge that you personally are somehow wildly different than the norm, you can expect that you WILL pay more in premiums, on average, than you ever receive in payments. It's just like going to the casino in that respect - over the long run the house ALWAYS wins.
So, why would one have insurance? The real value and purpose of insurance is to protect you against a RARE chance of CATASTROPHIC loss. So, you insure your house - the effect of the place burning to the ground could be catastrophic to your finances. The effect of a multi-million-dollar lawsuit against you for negligence, should someone be injured or killed on our property, would be catastrophic. You insure your car for liabilty, because again the effect of a multi-million-dollar settlement against you for a car crash would be catastrophic. You have life insurance if you're a thirty year old well-paid sole breadwinner for your growing family, because your death and the loss of your income for the next 35 years would be catastrophic for them. You have health insurance because a heart attack, stroke, or lengthy cancer treatment would be financially catastrophic.
In all these cases, it's still the case that the average premium-payer will pay more in than they ever get out; but it's because the event of loss is so damaging financially, that you accept that, in case of the less probable event.
But we're not talking about that kind of insurance here. What we're talking about is insurance against the theft of a $1000 instrument, or even a $5000 instrument, or against $500 of repairs to the same. Again, keep in mind that unless you have specific knowledge that allows you to predict the contrary (and insurance companies are damn good at assessing risk), you are probably going to pay in more than you take out. Will the loss of a $5000 instrument ruin you financially? I doubt this is the case for very many people. Yes, it would be an inconvenience; yes, you might have to take out a loan to replace it with an equal instrument; yes, you might have to replace it with a cheaper one. But financial ruin? Nope. This is the kind of loss for which insurance is NOT a good way to spend your money. Take those premium payments and invest them in - well, practically anything that outperforms inflation will do - and you'll be ahead.